Opening: NFLX 435/445/545/555 Iron Condor

... for a 3.45 credit.

Comments: Earnings play with the announcement today after close.

3.45 credit on buying power of 6.55; 52.6% ROC at max; 26.3% at 50% max.

I'm basically looking for two things here: (1) IV contraction post-earnings; and (2) price to stay within the expected move, which the options market is pricing in to be about +/- 43 handles from current price (i.e., 448 to the downside, 534 to the up).

And ... we'll see how that goes.

Trade active:

Rolled the Feb 16th 435/445 short put vertical up to the February 16th 515/525 for a 2.06 credit; total credits collected of 5.51. Break evens now 439.49/550.51.

Trade active:

Rolled the Feb 16th 525P/555C to the 530P/560C for a 3.33 credit, resulting in a small increase in BPE of 1.67. Total credits received: 8.84. Resulting setup: 515/530/545/560 with break evens of 521.16/554.84; delta/theta -5.14/5.24.

Trade active:

Staying mechanical, rolling the short put aspect up to about half the delta of the short call, as well to rolling the long call up. Going a smidge inverted here, rolling the -530P/560C to the -550P/580C for a 13.48 credit. Total credits collected of 22.33. I've widened further here by 20, but received a 13.48 credit to do it, so the net BPE increase is 6.52. The resulting setup: Feb 16th 515P/-545C/-550P/580C, total credits collected 22.33, break evens now 527.67/567.33, delta/theta -6.36/17.54.

Ideally, what I need to happen here is for price to roll back into the "body" of the setup (the -545C/-550P), at which point I can uninvert that narrow short strangle. I can also look to roll in the longs on approaching worthless to reduce risk and potentially BPE.

Conversely, since I've collected a total of 22.33 in credits, I can potentially invert the body (short put/short call) of the setup by as much as 22 strikes (NFLX only has five wides, so it would be 20), but am going to keep that in my back pocket for a little bit ... .

Trade active:

Ugh. Rolling the -550P/580C to the -560P/590C for a 6.78 credit, with the resulting setup being the 515P/-545C/-560P/590C on which I've collected a total of 29.11.

Comment:

Will look to "un-invert" the short strangle body in the next week in preparation for rolling it out to March. I usually like to do this when price moves back between the short option strikes because then you go from both sides ITM to both OTM, but I also like to roll these at around 21 DTE, so sometimes you run out of time and just gotta do what you gotta do ... .

For example, if price dropped back between 545 and 560 (my short option strikes), I'd uninvert to the -545P/-560C, with the result being that both sides would be OTM.

I will be paying a debit to do this (~15.00), since the inversion is 15 wide, but will also be narrowing the wings from 515/560 (45 wide) on the put side to 515/545 (30 wide) and 545/590 (45 wide) on the call side to 560/590 (30 wide) with a resulting decrease in buying power effect of 15.00.

I'm fine with doing this since I've collected far in excess of the inversion (29.11) which is why you never invert to a width greater than total credits collected.

Trade active:

Uninverted the short strangle aspect (the -545C/-560P) to the 545P/560C for a 15.15 debit. Probably had to pay a little more due to lack of liquidity of the ITM short call. Will look to close out the untested side (the 515/545 short call vertical), roll out the tested side (the 560/590 short call vertical) to the March monthly, and then sell a short put vertical against in the new expiry shortly here.

After that, I'll continue to massage the setup ... . (Assuming it doesn't magically drop below the short call strike over the next few days).

Trade active:

Closed the 515/545 Short Put Vertical for a 4.23 debit.

Rolled the 560/590 Short Call Vertical to March 15th for an .81 credit.

Opened the 505/535 Short Put Vertical for a 5.17 credit, with the resulting setup being the March 15th 505/535/560/590 with total credits collected of 13.99.

I'll proceed to lather, rinse the cycle of adjustments from here, looking to scratch it out.

Trade active:

Small delta adjustment here to bring in the short put to about half the delta of the short call, rolling the -535/590C to the -540P/595C for a 2.83 credit. Total credits collected of 16.82.

Comment:

On a side note, this isn't a very "tasty" roll. Most will want to roll the short put vertical up in this case and keep the wings of the same width. In this case, I rolled up 5 strikes, widened the wings by 5 strikes, and collected 2.83, resulting in an increase in BPE of the difference between the two (5 - 2.83 or 2.17).

I am of the philosophy, however, that if the market is going to move in such a way that I can realize a gain on both "delta similar" aspects of this setup (i.e., the long delta short put and the long call pair or conversely, the short delta short call/long put pair), well, I'm going to take those gains and roll those pairs as a unit, even if it means increasing the buying power effect of a defined risk setup in the short term.

Comment:

My platform says my math is off here somewhere ... . Prior to the inversion, I'd collected a total of 29.11. Inversion: 15.15 debit. SPV Close Out: 4.23 debit: SCV Roll Out: .81 credit. SPV Open: 5.17 credit; -P/C roll up: 2.83 credit. 29.11 - 15.15 - 4.23 + .81 + 5.17 + 2.83 = 18.54. There we go. Cost basis of 18.54 (which is what my platform says).

Trade active:

Going ahead and widening the short strangle aspect here to roll the short call from ITM to ATM by rolling the -540P/-560C to the -535P/-565C for a 4.00 debit with a resulting decrease in BPE of 1.00. Total credits: 14.54. Delta/theta -7.28/11.06, extrinsic value: 16.47 with 39 days to go.

Trade active:

Rolled the -535P/595C to the -570P/630C for a 17.84 credit (after which it moved another 10 handles to the upside). Total credits collected of 32.38 on a 5-wide inversion; delta/theta -11.53/27.45.

Trade active:

Rolled the 505P/-570P to the 520P/-585P for a 5.35 credit. 37.73 total credits collected on a 20-wide inversion.

Trade active:

Rolled the 520P/-585P up to the 535P/-600P for a 6.35 credit. 44.08 collected on a 35-wide inversion. Will look to uninvert for my "next move," assuming price stays between 600 and 565.

Trade active:

Un-inverted from the -565C/-600P to the -565P/-600C for a 35.20 debit. Total credits collected of 8.88.

Trade active:

I'd prefer not rolling this out, since earnings will be around the April monthly, so rolled up the 535/565 short put vertical up to the 550/580 for a 2.08 credit, resulting in a March 15th 565/580/600/630 iron condor with total credits collected of 8.88 + 2.08 = 10.96. Delta/theta -16.47/26.53.

Trade closed manually:

Throwing in the towel ... . Closed for an 18.16 debit. 7.20 ($720) loser.